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大兵张嘎 · 2024年08月09日

本题没有回答a和c的差别

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2024010508000020

问题如下：

A hedge fund manager wanting to offer a sector-neutral portfolio has decided to adopt a quantitative ESG long–short equity strategy. To implement this strategy, her exposures will include going:

选项：

A.long the top decile of ESG-rated stocks.

B.short the top decile of ESG-rated stocks.

C.long the bottom decile of ESG-rated stocks.

解释：

A is correct. A sector-neutral ESG long–short strategy would be structured with long exposure representing the top decile of ESG-rated companies while the short exposure represents the bottom or worst decile of ESG-rated stocks.

请问，为什么不选c？A和c的差异在哪里？

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1 个答案

Tina_品职助教 · 2024年08月09日

嗨，从没放弃的小努力你好：


基金经理想要构建一个**sector-neutral（行业中性）**的组合。为了实现这一目标，通常会对那些被认为在ESG方面表现最好的公司进行多头（long），而对那些表现最差的公司进行空头（short）。

A 选项：long the top decile of ESG-rated stocks

这个选项是指对ESG评级最高的公司（即前10%）采取多头（long）策略。这意味着基金经理预计这些公司会表现良好，因此买入这些公司的股票。

C 选项：long the bottom decile of ESG-rated stocks

这个选项是指对ESG评级最低的公司（即后10%）采取多头（long）策略。与A相反，这意味着基金经理预计这些评级较低的公司会表现良好，因此买入这些公司的股票。这种策略在实际操作中较为少见，因为ESG评分低的公司通常面临更高的风险和不确定性。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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